"[I]nvestors can build global portfolios tilted toward high-scoring ESG companies without compromising return. However, investors building portfolios in the U.S. and Canada face a small return discount for investing in these ESG companies. In either case, the risk associated with tilting toward a better ESG portfolio is largely comparable to that of portfolios with poor ESG ratings.... [T]he ESG factor is distinct from other well-known style factors, like the investment factor. Therefore, it deserves consideration in portfolio construction and risk management."